For those who really want to DC in full screen that get the "Cannot init d3d OR grf file has problem." here's what I do:
1) Open first client, get into the game.
2) Minimize, open a second program (paint, calculator, etc.)
3) Open second client, get into game. You may close the other program now.
This has never failed me, but I don't know if it'll work for everyone. I noticed that the taskbar RO windows do something funky when I try to DC without doing this.